Calculated Risk
Read the Bill McBride interview.
Jobs
The best summary of the state of our economy is the graph (below) of employment as a fraction of population for people over 16 years old. The decrease is large, but the most troubling feature of the graph is the flat trend .
Click on the image to get a bigger version.
June Payroll Employment
The slowndown in employment growth over the past few months is starting to become more apparent in the graph below.
Click on the image to get a bigger version.
Focus on the Problem
U.S. payroll employment peaked at 132.5 million jobs in February 2001. For April 2012, U.S. payroll employment had reached 133.0 million jobs, marking the third month in a row above the February 2001 level.
Click on the image to get a bigger version.
Graph-of-the-Year Candidates
Donald Marron likes European interest rates. Click on the image to get a bigger version. Can you find three distinct subperiods?
Brad DeLong favors the U.S. gdp gap.
Finally, it's hard to argue against the payroll employment graph below (straight from FRED) and the comparison across recessions (courtesy of Calculated Risk).
Looking Up At 2001
In February 2001, U.S. payroll employment peaked at 132.5 million. The November 2011 figure of 131.7 million still falls 800,000 jobs short of the earlier peak.
Click on the chart for a larger version.
Remember M1?
Money Supply M1 growth is now over 20% per year over a 12 month lag. M1 growth has touched 20% before, but not with excess reserves of $1.6 trillion. Where is M1 headed?
Click on the chart for a larger version.
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Fama/French Forum
""ideas and observations from Fama and French”
November 9, 2012, 5:05 pm, 1025115
EFF: I shared with CNNMoney
a piece of advice I received from a statistics professor that has guided my research for 50 years.
August 9, 2012, 11:05 am, 993904
EFF: I have a new paper,
"Does the Fed Control Interest Rates?". In it, I find that The Federal funds rate, FF, moves strongly toward the Fed's target, TF, but other rates show little day-to-day convergence to TF. When the Fed changes TF, it moves toward ...
June 18, 2012, 1:04 pm, 975404
EFF: In an interview with
Client Insights host Dan Richards, I explain the key findings of the paper
"Luck vs. Skill in Mutual Fund Performance" that Ken French and I published in 2010. Looking at funds over their entire lifetimes, only 3% demonstrate skill after accounting for ...
June 7, 2012, 3:04 pm, 971757
EFF: I talked with
Client Insights host Dan Richards about the problems with the Capital Asset Pricing Model (CAPM) and the development of the Fama/French three-factor model as a more accurate way of determining how average returns differ from one another. I also explain why higher expected returns ...
May 31, 2012, 5:04 pm, 969290
EFF: I spoke with
Client Insights host Dan Richards about the importance of effectively communicating the risks associated with equity investing. Also, I discuss how Warren Buffett's success is more properly viewed in the context of business ownership than equity investment.
May 15, 2012, 3:04 pm, 966409
EFF: Last week I was interviewed by James Mackintosh from the Financial Times. We discussed the relevance of market efficiency for investors, the definition of market "bubbles," and measurements of active manager outcomes. Watch the seven-minute interview here:
Defending efficient markets (Financial Times).
May 8, 2012, 1:04 pm, 965063
By Eugene F. Fama and Kenneth R. French
Understanding volatility is crucial for informed investment decisions. Our paper explores the volatility of the market, size, and value premiums of the Fama-French three-factor model for US equity returns.
Volatility and Premiums in US Equity Returns (PDF)
February 13, 2012, 11:04 am, 949733
EFF: I spoke with
EconTalk host Russ Roberts about how the efficient market hypothesis relates to marcoeconomic events of the past few years, with some additional thoughts on behavioral finance and the evolving nature of financial academic research.
January 30, 2012, 11:04 am, 947207
What is the best way to describe the distribution of stock returns—a normal distribution, lognormal, or something else? What should investors do with this information?(
Read the full entry)
January 23, 2012, 11:04 am, 944635
In addressing a previous question (
"Has the Equity Premium Puzzle Gone Away?"), you suggested that it requires 35 years or more to be reasonably confident of achieving a positive equity premium. Is the time frame similar for the size and value premiums? (
Read the full entry)
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